Just to add to this. For orchestral templates this feature is pretty well essential. Many orchestral libraries use CC#1 (mod wheel) or CC#7 / 11 to control the volume and timbre (cross fading of samples) on instrument which are capable of changing both during the duration of a single note - Violins, Horns etc.
Most of us 'balance' our templates by setting an initial level for these controllers by reserving the first bar for this (and other operations like initial midi key-switching) and starting our actual recordings from bar 2.
This causes a problem of course if the mod wheel is currently sitting on a lower midi value than the default level we've set in the template and I want to change the dynamics during recording - at the moment I have to remember to nudge the mod wheel to full level and back to the balance value before starting recording which kind of defeats the purpose in having that initial level to help balance the template.
Pickup mode would of course resolve this totally.
